Arbitrage: Opportunities and Techniques in the Financial and Commodity Markets
Wiley, 1986 - Business & Economics - 140 pages
Describes the meaning and history of arbitrage as it examines the theory behind interest and stock arbitrage in the different markets, such as fianancial futures, options and gold. Covers commodity trading in varying currencies and interest rates and currency swaps. Shows how to trade currencies or deposits in two or more investment markets, thus taking advantage of price differences in various markets.
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Fully covered interest arbitrage
17 other sections not shown
activities amount annum arbitrage opportunities arbitrageur Australian dollars balance sheet banks basis points bear put spread bond borrowing bull call spread buyer capital cash market cash position cocoa cost counterparties cover covered interest arbitrage currency futures currency risk dealers deposit Deutschmarks dollar equivalent Eurodollar Eurodollar futures example exchange rate exchange risk financial futures fixed floating foreign exchange market forward contract forward exchange forward rate funds futures contracts futures market instruments inter-bank interest arbitrage internal deal intrinsic value investment investors involved lending LIFFE London market prices maturity money market movements open positions operation option pricing payment period portfolio premium pricing models profit and loss purchase result risk arbitrage riskless round robin securities sell settlement short-term six months soft commodity markets spot rate spread strike price swap Swiss franc synthetic Table trading transactions Treasury US$1 million variation margin volatility